Rachel
2019-09-01 23:21老師，請問在多少范圍內(nèi)effective number of stock是屬于集中的？
所屬：CFA Level III 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Chris Lan助教
2019-09-02 10:55
該回答已被題主采納
同學(xué)你好，這塊書上也沒給出明確的說法說多少是多。
你可以參考一下原版書333頁Equation (2)?下面的這一段。
-
追答
Malevergne, Santa-Clara, and Sornette (2009) demonstrate that cap-weighted indexes have a surprisingly low effective number of stocks. Consider the NASDAQ 100, a US-based market-cap-weighted index consisting of 100 stocks. If the index were weighted uniformly, each stock’s weight would be 0.01 (1%). In May 2017, the constituent weights ranged from 0.123 for Apple, Inc., to 0.0016 for Liberty Global plc, a ratio of 77:1. Weights for the top five stocks totaled almost 0.38 (38%), a significant allocation to those securities. Across all stocks in the index, the median weight was 0.0039 (that is, 0.39%).
-
追答
The effective number of stocks can be estimated by squaring the weights for the stocks, summing the results, and calculating the reciprocal of that figure. The squared weights for the NASDAQ 100 stocks summed to 0.0404, the reciprocal of which is 1/0.0404 = 24.75, the effective number of stocks. Thus, the 100 stocks in the index had a concentration level that can be thought of as being equivalent to approximately 25 stocks held in equal weights.
0
0
0
0
